[ Research Interests and Curriculum Vitae |
Publications | Distinctions, Awards and Grants | Invited Talks and Conferences | Seminars | Teaching
| Links]
Welcome! I am an Associate Professor at the Department of Mathematics and Statistics, Boston University. I am also affiliated with the Center for Information and Systems Engineering, Boston University
and I am a junior faculty fellow at the Hariri Institute at Boston University. I completed my PhD at the
Department of Mathematics, University of Maryland at College Park, advised by Professor Mark Freidlin and I was at
the Division of Applied Mathematics, Brown University
as a Prager Assistant Professor from 2009-2012.
My undergraduate studies were in Applied Mathematics and Physics at the National Technical University of Athens in Greece.
(NTUA).
Research interests:
My research lies broadly in the area of stochastic processes, applied mathematics and probability, large deviations, multiscale methods, financial mathematics, asymptotic problems for stochastic processes and partial differential equations , statistical inference for stochastic differential equations and statistical learning. In particular:
- Asymptotic Problems for Stochastic Processes and Partial Differential Equations (PDE's) such as Multiple Scale Problems and Large Deviations
- Stochastic Optimal Control
- Monte Carlo Methods and Development of Rare Event Simulation Methods
- Metastability, Trasitions between Metastable States
- Interacting Particle Systems
- Systemic risk, large portfolio asymptotics, stochastic volatility models and large deviations
- Statistical Inference for Stochastic Differential Equations and Parameter Estimation
- Statistical and machine learning, neural network models
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Submitted papers:
- "Scaling Limit of Neural Networks with the Xavier Initialization and Convergence to a Global Minimum ", (with Justin Sirignano), 2019, [ArXiv preprint], submitted.
- "Typical dynamics and fluctuation analysis of slow-fast systems driven by fractional Brownian motion", (with Solesne Bourguin and Siragan Gailus), 2019, [ArXiv preprint], submitted.
- "Selection of quasi-stationary states in the stochastically forced Navier-Stokes equation on the torus", (with Margaret Beck, Eric Cooper and Gabriel Lord), 2019, [ArXiv preprint], submitted.
- "Metastability and exit problems for systems of stochastic reaction-diffusion equations", (with Michael Salins), 2019, [ArXiv preprint], submitted.
- "Mean field analysis of deep neural networks", (with Justin Sirignano), 2019, [ArXiv preprint], submitted.
- "Network effects and default clustering for large systems", (with Jia Yang), 2019, [ArXiv preprint], submitted.
- "Information geometry for approximate Bayesian computation", 2018, [ArXiv preprint], submitted.
- "Importance sampling for slow-fast diffusions based on moderate
deviations", (with Matthew Morse), 2018, [ArXiv preprint], submitted.
- "Mean field analysis of neural networks", (with Justin Sirignano), 2018, [ArXiv preprint], submitted.
- "Optimal investment and derivative demand under price impact", (with Michail Anthropelos and Scott Robertson), 2018, [ArXiv preprint], submitted.
Book Chapters:
- "Importance sampling for metastable and multiscale dynamical systems",
Stochastic Processes, Multiscale Modeling, and Numerical Methods for Computational Cellular Biology, (Editors: D. Holcman) , Springer, 2017, pp 29-53, [ArXiv preprint]
- "Systemic Risk and Default Clustering for Large Financial Systems",
Large Deviations and Asymptotic Methods in Finance, (Editors: P. Friz, J. Gatheral, A. Gulisashvili, A. Jacqier, J. Teichmann) , Springer Proceedings in Mathematics and Statistics, Vol. 110 2015,
[SSRN] ,[ArXiv preprint].
Publications:
- "Optimal scaling of the MALA algorithm with irreversible proposals for Gaussian targets", (with Michela Ottobre and Natesh S. Pillai), 2019, Stochastics and Partial Differential Equations: Analysis and Computations, [ArXiv preprint], to appear.
- "Stochastic gradient descent in continuous time: a central limit theorem", (with Justin Sirignano), 2019, Stochastic Systems , [ArXiv preprint], to appear.
- "Mean field analysis of neural networks: A central limit theorem", (with Justin Sirignano), 2019, Stochastic Processes and their Applications , [ArXiv preprint], to appear.
- "Pathwise moderate deviations for option pricing", (with Antoine Jacquier), 2019, Mathematical Finance, [ArXiv preprint], to appear.
- "Large deviations and averaging for systems of slow--fast stochastic
reaction--diffusion equations", (with Wenqing Hu and Michael Salins), 2019, Stochastics and Partial Differential Equations: Analysis and Computations, [ArXiv preprint], to appear.
- "Selection of quasi-stationary states in the Navier-Stokes equation on the torus", (with Margaret Beck and Eric Cooper), 2019, Nonlinearity , Vol. 32, pp. 209--237, [ArXiv preprint].
- "Analysis of multiscale integrators for multiple attractors and irreversible Langevin samplers", (with Jianfeng Lu), 2018, SIAM Multiscale Modeling and simulation , Vol. 16, Issue 4, pp. 1859--1883. [ArXiv preprint].
- "Discrete-time statistical inference for multiscale diffusions", (with Siragan Gailus), 2018, SIAM Multiscale Modeling and simulation , Vol. 16, Issue 4, pp. 1824--1858, [ArXiv preprint].
- "DGM: A deep learning algorithm for solving partial differential equations", (with Justin Sirignano), 2018, Journal of Computational Physics , Vol. 375, pp. 1339--1364, [ArXiv preprint].
- "Sequential Monte Carlo for fractional Stochastic Volatility Models", (with Alexandra Chronopoulou), 2018, Quantitative Finance , Vol. 18, Issue 3, pp. 507--517, [ArXiv preprint].
- "Indifference pricing for Contingent Claims: Large Deviations Effects", (with Scott Robertson), 2018, Mathematical Finance , Vol. 28, Issue 1, pp. 335--371, [ArXiv preprint].
- "Stochastic gradient descent in continuous time", (with Justin Sirignano), 2017, SIAM Journal on Financial Mathematics, Vol. 8, Issue 1, pp. 933--961, [ArXiv preprint]
- "Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes", (with Andrew Papanicolaou), 2017, SIAM Journal on Uncertainty Quantification, Vol. 5, pp. 1220-1247, [ArXiv preprint]
- "Hypoelliptic multiscale Langevin diffusions: Large deviations, invariant measures and small mass asymptotics", (with Wenqing Hu), 2017, Electronic Journal of Probability, Vol. 22 (2017), paper no. 55, pp. 1-38, [ArXiv preprint]
- "Rare event simulation via importance sampling for linear SPDE's", (with Michael Salins), 2017, Stochastics and Partial Differential Equations: Analysis and Computations, Vol. 5, Issue 4, pp. 652-690, [ArXiv preprint].
- "The effect of heterogeneity on flocking behavior and systemic risk", (with Fei Fang and Yiwei Sun), 2017, Statistics and Risk Modelling, Vol. 34, No. 3--4, pp. 141-155, [ArXiv preprint]
- "Moderate deviations principle for systems of slow-fast diffusions", (with Matthew R. Morse), 2017, Asymptotic Analysis, Vol. 105, No. 3-4, pp. 97-135, [ArXiv preprint].
- "The pricing of contingent claims and optimal positions in asymptotically complete markets", (with Michail Anthropelos and Scott Robertson), 2017, Annals of Applied Probability, , Vol. 27, No. 3, pp. 1778-1830, [ArXiv preprint]
- "Markov processes with spatial delay: path space characterization, occupation time and properties", (with Michael Salins), 2017, Stochastics and Dynamics , Vol. 17, No. 6, 1750042 (21 pages), [ArXiv preprint].
- "Statistical Inference for Perturbed Multiscale Dynamical Systems", (with Siragan Gailus), 2017, Stochastic Processes and their Applications , Volume 127, Issue 2, pp. 419-448, [ArXiv preprint]
- "Improving the convergence of reversible samplers", (with Luc Rey-Bellet), 2016, Journal of Statistical Physics , August 2016, Vol. 164, Issue 3, pp. 472-494, [ArXiv preprint].
- "Rare event simulation for multiscale diffusions in random environments", 2015, SIAM Multiscale Modeling and Simulation , Vol. 13, No. 4, pp. 1290--1311 [ArXiv preprint].
- "Escaping from an Attractor: Importance Sampling and Rest Points I", (with Paul Dupuis and Xiang Zhou), 2015, Annals of Applied Probability , Vol. 25, No. 5, pp. 2909-2958, [ArXiv preprint]
- "Irreversible Langevin samplers and variance reduction: a large deviation approach", (with Luc Rey-Bellet), 2015, Nonlinearity , Vol. 28, pp. 2081-2103, [ArXiv preprint]
- "Default Clustering in Large Pools: Large Deviations", (with Richard Sowers), 2015, SIAM Journal on Financial Mathematics , Vol. 6, (2015), pp. 86?116, [SSRN], [ArXiv preprint].
- "Quenched Large Deviations for Multiscale Diffusion Processes in Random Environments", 2015, Electronic Journal of Probability, Vol. 20,
(2015), no. 15, pp. 1?29, [ArXiv preprint]
- "Variance reduction for irreversible Langevin samplers and diffusion on graphs", (with Luc Rey-Bellet), 2015, Electronic Communications in Probability, Vol. 20,
(2015), no. 15, pp. 1?16, [ArXiv preprint].
- "Non-asymptotic performance analysis of importance sampling schemes for small noise diffusions", 2015, Journal of Applied Probability , Vol. 52, pp. 1-14, [ArXiv preprint]
- "Large Portfolio Asymptotics for Losses from Default", (with Kay Giesecke, Richard Sowers and Justin A. Sirignano), 2015, Mathematical Finance, Vol. 25, No. 1, (January 2015), pp. 77?114, [SSRN] ,[ArXiv preprint]
- "Rare event simulation in the neighborhood of a rest point", (with Paul Dupuis), 2014, Winter Simulation Conference, article in pdf , (IEEE, 2014), pp. 564-573 .
- "Filtering the Maximum Likelihood for Multiscale Problems", (with Andrew Papanicolaou), 2014, SIAM Multiscale Modeling and Simulation , Vol. 12, No. 3, pp. 1193-1229, [ArXiv preprint].
- "Fluctuations Analysis for Loss from Default", (with Kay Giesecke and Justin A. Sirignano), 2014, Stochastic Processes and their Applications, Volume 124, Issue 7, pp. 2322-2362, [SSRN],[ArXiv preprint].
- "Scaling Limits and Exit Law for Multiscale Diffusions", (with Sergio A. Almada), 2014, Asymptotic Analysis, Volume 87, pp. 65-90, [ArXiv preprint].
- "Fluctuation analysis and short time asymptotics for multiple scales diffusion processes", 2014, Stochastics and Dynamics, Vol. 14, No.3, pp. 1350026 [ArXiv preprint].
- "Maximum likelihood estimation for small noise multiscale disffusions", (with Alexandra Chronopoulou), 2013, Statistical Inference for Stochastic Processes,Volume 16, Issue 3, pp. 237-266, [ArXiv preprint]
- "Large Deviations and Importance Sampling for Systems of Slow-Fast Motion", 2013, Applied Mathematics and Optimization, Vol. 67, pp. 123?161, [ArXiv preprint]
- "Default Clustering in Large Portfolios: Typical Events", (with Kay Giesecke and Richard Sowers), 2013, Annals of Applied Probability, Volume 23, Number 1, pp. 348-385, [SSRN], [ArXiv preprint].
- "Importance Sampling for Multiscale Diffusions", (with Paul Dupuis and Hui Wang), 2012, SIAM Multiscale Modeling and Simulation , Vol. 12, No. 1, pp. 1-27, [ArXiv preprint].
- "Large Deviations for Multiscale Diffusions via Weak Convergence Methods", (with Paul Dupuis), 2012, Stochastic Processes and Their Applications, 122, pp. 1947-1987, [ArXiv preprint].
- "Large Deviations Principle for a Large Class of One-Dimensional Homogeneous Strong Markov Processes", 2012, Journal of Theoretical Probability, Volume 25, Issue 4, pp. 925-949, [ArXiv preprint]
- "Recovery Rates in Investment-Grade Pools of Credit Assets: A Large Deviations Analysis", (with Richard Sowers), 2011, Stochastic Processes and Their Applications, Volume 121, Issue 12, pp. 2861-
2898, [SSRN] ,[ArXiv preprint].
- "Rare Event Simulation in Rough Energy Landscapes", (with Paul Dupuis and Hui Wang), 2011, Winter Simulation Conference, article in pdf , (IEEE, 2011), pp. 504?515.
- "Wiener Process with Reflection in Nonsmooth Narrow Tubes", 2009, Electronic Journal of Probability, Vol. 14, Paper no. 69, pp. 2011-2037 article in pdf
- "Method of Moments Estimation of Ornstein-Uhlenbeck Processes Driven by General Levy Process", 2009, Annales de
l'I.S.U.P., Volume 53 - Fascicule 2-3, pp. 3-19 [ArXiv preprint]
- "Reaction Diffusion Equations with Non-Linear Boundary Conditions in Narrow Domains",
(with Mark Freidlin), 2008, Asymptotic Analysis, Volume 59, Number 3-4, pp.227-249 article in pdf
- "A note on the Smoluchowski- Kramers
approximation for the Langevin equation with reflection", 2007, Stochastics and Dynamics, Vol. 7, No. 2,
pp. 141-153 : article in pdf
Other Publications:
- PhD Thesis. "Asymptotic problems for stochastic processes with reflection and related PDE's", University Of Maryland, College Park, USA, May 2009,
Thesis
Advisor: Professor Mark Freidlin.
- M.A. scholarly paper. "The Smoluchowski-Kramers approximation for the Langevin equation with reflection in 1-D", University Of Maryland, College Park, USA, May 2006,
Scholarly paper
Advisor: Professor Mark Freidlin.
- Undergraduate thesis. "Extension of Ito Formulae to Sobolev Spaces and some Applications", National Techincal University
of Athens, Greece,June 2004, Thesis in Greek
Advisor: Professor Ioannis Spiliotis.
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Distinctions, Awards and Grants:
- 2016-2021, NSF CAREER AWARD, NSF-DMS 1550918.
- 2015, Alfred P. Sloan Foundation support for attending the EVA 2015 conference.
- 2013-2017, Hariri Institute Junior Fellow.
- 2013-2017, NSF-DMS 1312124.
- 2012, SIAM travel grant for the 2012 SIAM Conference on Financial Mathematics & Engineering (FM12).
- 2011, IATF travel grant, Brown University.
- 2011, NSF block travel grant for the 16th INFORMS Applied Probability Conference.
- 2008-2009, Monroe Martin Talk Award in the presentation competition of the Spotlight on Graduate Research at the University of Maryland.
- Fall 2008, Awarded Department of Mathematics Dissertation Fellowship, University of Maryland.
- 2007-2008, Seymour Goldberg Paper Award in the written competition of the Spotlight on Graduate Research at the University of Maryland.
- 2007, Levermore Foundation Travel Grant, University of Maryland.
- 2006, Goldhaber Travel Grant, Graduate School, University of Maryland.
- 2004-2006, Block Grant Fellowship from the Department of Mathematics
of the University of Maryland.
- 2004-2005, Award from Eygenidio Foundation for outstanding Greek Students that
are pursuing graduate studies.
- 2003-2005, Three times awarded from the Technical Chamber of Greece for academic excellence
at the School of Applied Mathematics and Physical Sciences of the National Technical
University of Athens, Greece.
- 2003-2005, Three times awarded from the Greek State Scholarships Foundation for academic
excellence at the School of Applied Mathematics and Physical Sciences of the National
Technical University of Athens, Greece.
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Invited Talks and Lectures:
- June 28-July 3, 2020, Invited talk at BIRS Workshop Invitation: Modeling, Learning and Understanding: Modern Challenges between Financial Mathematics, Financial Technology and Financial Economics.
- June 5-9, 2020, Invited talk at 13th AIMS Conference on Dynamical Systems, Differential Equations and Applications, Atlanta, USA .
- December 11-14, 2019, Invited talk at SIAM Conference on Analysis of Partial Differential Equations, La Quinta, California.
- October 14-18, 2019, Invited participant at Deep learning and partial differential equations, AIM Workshop San Jose, California.
- July 8-12, 2019, Invited talk at Stochastic Processes and their applications conference, Chicago, 2019.
- June 4-7, 2019, Invited talk and Mini-symposium organizer at SIAM Conference on Financial Mathematics and Engineering (FME19), Toronto, Canada.
- May 19-23, 2019, Invited talk at SIAM Conference on Applications of Dynamical Systems at Snowbird, Utah.
- May 15-17, 2019, Invited talk at NESS conference 2019, Hartford, Connecticut.
- April 15, 2019, Invited talk at Department of Applied Probability and Statistics at Sanda Barbara (UCSB), CA.
- March 14, 2019, Invited talk at Department of Mathematics at the University of Connecticut (Uconn), Connecticut.
- Feb 25-March 1, 2019, Invited talk at SIAM Conference on Computational Science and Engineering (CSE19), Spokane, WA.
- November 4-7, 2018, Invited talk at Informs Annual Meeting 2018, Phoenix, Arizona
- October 24, 2018, Invited talk at ORFE Seminar, Princeton University, NJ.
- September 17-21, 2018, Invited lecture at Advances in Computational Statistical Physics
Perspectives en physique statistique computationnelle, CIRM, Marseille, France.
- Aug 30-31, 2018, Visit at Department of Mathematics, Imperial College, England.
- July 10-13, 2018, Invited lecture at Numerical analysis for deterministic and stochastic differential equations, NTUA, Athens, Greece.
- April 25, 2018, Invited Talk at the
Mathematical Finance and Applied Probability Seminar, Department of Mathematics, University of Connecticut.
- April 23, 2018, Invited Talk at the
Probability and Statistics Seminar, Department of Mathematics and Statistics, UMASS at Amherst
- April 16-19, 2018, Invited lecture at SIAM Uncertainty Quantification meeting 2018, Garden Grove, California.
- March 17-18, 2018, Invited lecture at AMS Spring Central Sectional Meeting, Ohio State University, Columbus
- March 9, 2018, Invited lecture at Scientific computing seminar, Brown University, Providence
- November 21, 2017, Invited lecture at Applied Mathematics Seminar, Department of Mathematics, Imperial College, England.
- October 31, 2017, Invited lecture at Department of Mathematics and Statistics, McGill University, Canada.
- September 15, 2017, JP Morgan and Chase, Quantitative Finance Seminar.
- August 31-September 2, 2017, Invited lecture at SIAM Conference on Mathematical Modelling in Finance 2017, Imperial College, England.
- July 14-17, 2017, Invited lecture at Greek stochastics 2017 conference, Milos, Greece.
- June 14-17, 2017, Invited lecture at
Ninth Workshop on Random Dynamical Systems, Bielefeld, Germany.
- November 25, 2016, Invited lecture at Stochastic Analysis Seminar, Department of Mathematics, Imperial College, England.
- November 22, 2016, Invited lecture at Statistics Seminar, Department of Mathematics, Imperial College, England
- November 17-19, 2016, Invited lecture at 2016 SIAM Conference on Financial Mathematics & Engineering (FM16), 2016 conference in Austin, Texas
- November 12-13, 2016, Co-organizing a Special Session on Recent Advances in Stochastic Processes and Stochastic Computation during the Fall 2016 Southeastern AMS Sectional Meeting
North Carolina State University, Raleigh, NC
- October 18, 2016, Invited Talk at the
Applied Analysis and Computation Seminar, Department of Mathematics and Statistics, UMASS at Amherst
- September 5-9, 2016, Invited lecture at MCMC and particle methods: sampling, inference and stochastic approximation, 2016 workshop in ICMS Edinburgh, Scotland
- August 15-19, 2016, Co-organizing the BU-Keio Joint conference in Probability and Statistics
- July 18-22, 2016, Invited lecture at Stochastic numerical algorithms, multiscale modeling and high-dimensional data analytics, 2016 workshop in ICERM, Providence, USA
- July 10-13, 2016, Invited lecture at Greek stochastics 2016 conference, Tinos, Greece
- June 20-24, 2016, Invited lecture at Spatially Distributed Stochastic Dynamical Systems in Biology Workshop in Newton Institute at Cambridge, England
- April 27, 2016, Invited lecture at Probability Seminar, Department of Mathematics, University of Maryland at College Park.
- April 18, 2016, Invited lecture at Colloquium Series on Applied and Computational Mathematics, Department of Mathematics, Penn State University.
- March 29-April 1, 2016, Invited lecture at the 11th International Workshop
on Rare Event Simulation (RESIM), Eindhoven, Netherlands
- March 16-19, 2016, Seminar on Stochastic Processes 2016, University of Maryland
- January 14, 2016, Invited lecture at CISE Graduate Student Workshop 3.0.
- December 7, 2015, Invited lecture at Mathematical Finance, Risk and Uncertainty Seminar, Department of Industrial and Enterprise Systems Engineering and Mathematics Department at the University of Illinois, Urbana-Champaign.
- November 1-4, 2015, Three Invited lectures at INFORMS Annual Meeting, Philadelphia
- October 19, 2015, Invited lecture at Department of Mathematics and Statistics, Dynamics seminar, Boston University
- September 24, 2015, Invited lecture at Department of Mathematics Probability seminar, Duke University
- August 8-13, 2015, Invited lecture at 2015 Joint Statistical Meeting (JSM), Seattle, Washington
- July 11-13, 2015, Invited lecture at Greek stochastics 2015 conference, Crete, Greece
- June 15-19, 2015, Invited lecture at Extreme Value Analysis (EVA) Conference at University of Michigan
- June 1-5, 2015, Invited/Sponsored Participant at Methods of Mathematical Finance
a conference in honor of Steve Shreve?s 65th birthday
Carnegie Mellon University, Pittsburgh, PA
- May 1, 2015, Session Chair and talk at Conference on Mathematical Finance and Partial Differential Equations at Rutgers University, New Brunswick
- April 8, 2015, Invited lecture at BU-Brown PDE Seminar
- March 31, 2015, Invited lecture at Department of Mathematics, University of Tennessee
- March 7-8, 2015, Invited lecture at AMS Eastern Section Meeting
- January 28, 2015, Invited lecture at Hariri Institute, Boston University
- January 16, 2015, Invited lecture at Department of Mathematics, Michigan State University
- December 20-22, 2014, Greek stochastics 2014 conference, Athens, Greece
- December 7-10, 2014, 2014 Winter Simulation Conference at Savannah, Georgia
- November 13-15, 2014, Invited lecture at the SIAM Financial Mathematics conference at Chicago
- Octomber 28, 2014, Invited lecture at the Department of Mathematics, Wayne State University
- Octomber 20, 2014, Invited lecture at the Department of Mathematics, Carnegie Mellon University
- September 22-26, 2014, Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches,
at the Isaac Newton Institute for Mathematical Sciences in England
- August 27-29, 2014, Invited lecture at the 10th International Workshop
on Rare Event Simulation (RESIM), Amsterdam, Netherlands
- June 2-6, 2014, Invited lecture at the Computational methods for statistical mechanics -- At the interface between mathematical statistics and molecular simulation, in Edinburgh, Scotland
- May 6, 2014, Invited lecture at the Probability Seminar at CUNY
- April 26 2014, Invited lecture at the
The 28th New England Statistical Symposium, 26 April 2014
- April 1-4, 2014, Invited lecture at the SIAM conference on Uncertainty Quantification, Savannah, Georgia
- March 29-30, 2014, Invited lecture at the AMS Sectional Meeting on Mathemtical Finance at University of Maryland, Baltimore County, Baltimore, MD
- March 13, 2014, Invited lecture at the Stochastics Seminar, Georgia Tech
- January 15-18, 2014, Invited lecture at the Joint Mathematical Meetings, Baltimore
- December 5, 2013, Invited lecture at Division of Applied Mathematics, Brown University
- November 20, 2013, Invited lecture at Hariri Institute, Boston University
- November 13, 2013, Invited Colloqium lecture at Department of Statistics, University of Connecticut
- October 17, 2013, Invited lecture at Math Finance Seminar, Columbia University
- October 12-12, 2013, Invited lecture at AMS Sectional Meeting Program, Temple University, Philadelphia.
- September 20-22, 2013, Invited lectures at BU-Keio Probability workshop, Boston University, Boston.
- July 8-12, 2013, Session Chair and Speaker at SIAM Annual Meeting, San Diego, California.
- June 9-12, 2013, Speaker at SIAM Conference on Mathematical Aspects of Material Science, Philadelphia, Pennsulvania.
- April 2013, Invited lecture at the
The 27th New England Statistical Symposium, 27 April 2013
- April 2013, Invited lecture at the
Workshop on Large deviations and asymptotic methods in finance, Imperial College London, England, 9-11 April 2013
- April 2013, Invited lecture at the
AMS Sectional Meeting, Boston College, Boston, 6-7 April 2013
- March 2013, Invited Talk at the
Stochastics Seminar, Mathematics Department, University of Utah
- February 2013, Invited Talk at the
Stochastics Seminar, Mathematics Department, Worcester Polytechnic Institute
- November 2012, Invited Talk at the
Seminar of Financial Mathematics, Mathematics Department, University of Michigan, Ann Arbor
- October-November 2012, Invited Talk at the
Monte Carlo Methods in the Physical and Biological Sciences, Workshop at ICERM, Brown University, Providence
Title: Escaping from an attractor: importance sampling and rest points.
- October 2012, Session Chair at the
2012 Informs Annual meeting in Phoenix, Arizona
- October 2012, Invited Talk at the
Probability, PDE and Math Finance Seminar, Department of Mathematics, Rutgers University
- October 2012, Invited Talk at the
Probability Seminar, Department of Mathematics, MIT
- October 2012, Invited Talk at the
Probability Seminar, Department of Mathematics and Statistics, UMASS at Amherst
- September 2012, Invited Talk at the Data Assimilation Workshop, Oxford-Man Institute, England
- July 2012, Invited Talk at the SIAM Conference on Financial Mathematics and Engineering, Minnesota
Title: Most Likely Path to Systemic Failure.
- July 2012, Invited Talk at the Department of Mathematics, University of California at San Diego
Title: Large Deviations and Monte Carlo Methods for Problems with Multiple Scales.
- January 2012, Invited Talk at the Department of Statistics & Operations Research, University of North Carolina
Title: Large Deviations, Metastability and Monte Carlo Methods for Multiscale Problems.
- 12-16 December 2011, Invited Talk at the EPSRC Symposium Workshop - Multiscale Systems: Theory and Applications, Warwick, England.
Title: Large deviations for multiscale diffusions and fast simulation.
- 17 October 2011, Invited Talk at the Department of Operations Research and Financial Engineering, Princeton University.
Title: Default clustering in large portfolios and most likely path to failure.
- 5-9 September 2011, Invited Talk at the ENUMATH Conference 2011
Leicester, England.
Title: Default clustering in large portfolios: typical and atypical events.
- 6-8 July 2011, Invited Talk at the Applied Probability Society Conference,
Royal Institute of Technology (KTH),Stockholm, Sweden.
Title: Large Deviations and Fast Simulation for Multiscale Diffusions and Rough Energy Landscapes.
- April 2011, Invited Talk at the Department of Mathematics at Chicago University.
Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
- March 2011, Invited Talk at the Department of Mathematics at Stanford University.
Title: Default clustering in large portfolios: typical and atypical events.
- Feb 2011, Invited Talk at the Department of Mathematics and Statistics at Boston University.
Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
- March 2011, Invited Talk at the Department of Applied Physics and Applied Mathematics at Columbia University.
Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
- Feb 2011, Invited Talk at the Department of Mathematics and Statistics at Boston University.
Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
- Oct 2010, Invited Talk at the Rare Event Simulation Workshop in Bordeaux, France.
Title: Large Deviations and Importance Sampling for Multiscale Diffusions.
- June 2010, Talk at the Department of Mathematics at the University of Minnesota.
Title: Reaction-Diffusion Equations with Nonlinear Boundary Conditions in Narrow Domains and Wave Front Propagation.
- April 2009, Invited talk at the Department of Mathematics at the University of Illinois at Urbana-Champaign.
Title: Reaction-Diffusion Equations with Nonlinear Boundary Conditions in Narrow Domains and Wave Front Propagation.
- April 2009, Invited talk at the Department of Statistics at Warwick University.
Title: Reaction-Diffusion Equations with Nonlinear Boundary Conditions in Narrow Domains and Wave Front Propagation.
- January 2009, Invited talk at the Department of Statistics and Applied Probability and the Center for Financial Mathematics and Statistics (CRFMS) at the University of Santa Barbara.
Title: Reaction-Diffusion Equations with Nonlinear Boundary Conditions in Narrow Domains and Wave Front Propagation.
- October 2008, Talk at the Applied Partial Differential Equations Research Interaction Team (RIT) at the University of Maryland.
Title: Reaction-Diffusion Equations in Narrow Domains and Wave Front Propagation.
- September 2008, Invited talk at the School of Applied Mathematics and
Physics of the National Technical University
of Athens, Greece
Title: Reaction-Diffusion Equations with Non-Linear Boundary
Conditions in Narrow Tubes and Wave Front Propagation.
- May 2008-2007, Invited lectures on Advanced Analytic Methods with Applications (Graduate course at the University of Maryland)
Title: Lectures in homogenization with probabilistic methods.
- May 2008, Invited talk at the Graduation Conference at the University of Maryland.
Title: Reaction Diffusion Equations with Non-Linear Boundary Conditions in Narrow Domains. (presentation)
- April 2008, Invited talk at the Graduate Research Interaction Day at the University of Maryland.
Title: Wave Front Propagation In Narrow Domains.
- November 2007, Talk at the Mathematical Finance Research Interaction Team (RIT) at the University of Maryland.
Title: Log Prices following General Levy Driven Ornstein- Uhlenbeck Processes.
- September 2007, Invited talk at the Graduate Students Statistics and Probability seminar at the University of Maryland.
Title: Probabilistic Approach in Homogenization: An Introduction. (presentation)
- September 2007, Invited talk at the Summer School ''De Ludo Aleae''
on probability, Universita' ``La Sapienza'' Roma, Italy.
Title: Reaction Diffusion Equations with Non-Linear Boundary Conditions in Narrow Domains. (presentation)
- June 2006, Invited talk at the Workshop: Large Scale Stochastic Dynamics
and Interaction with Kinetic Theory, Foundation for Research and Technology, Heraklion Crete, Greece.
Title: The Smoluchowski-Kramers approximation for the Langevin equation with reflection. (presentation)
Workshops and Conferences that I have attended:
- 17-21 March, 2014, Workshop on Stochastic Graph Models, ICERM, Providence, RI.
- 3-8 August, 2013, JSM 2013, Montreal, Canada.
- 9-12 June, 2013, Speaker at SIAM Conference on Mathematical Aspects of Material Science, Philadelphia, Pennsulvania.
- 20-24 May, 2013, Invited Participant Conference on Asymptotic Problems in Honor of Mark Freidlin's Birthday
, Maryland.
- 27 April, 2013, Invited lecture at the
The 27th New England Statistical Symposium
- 9-11 April, 2013, Invited lecture at the
Workshop on Large deviations and asymptotic methods in finance, Imperial College London, England
- 6-7 April, 2013, Invited lecture at the
AMS Sectional Meeting, Boston College, Boston
- January 14-18, 2013, Invited Participant at IMA Annual Program Year Workshop
Theory and Applications of Stochastic PDEs, Minnesota, Minneapolis.
- July 8-11, 2012, Speaker at SIAM Conference on Financial Mathematics and Engineering, Minnesota, Minneapolis.
- June 4-8, 2012, Probability, Control and Finance
A Conference in Honor of Ioannis Karatzas, Columbia University, New York.
- December 12-16, 2011, Speaker at EPSRC Symposium Workshop - Multiscale Systems: Theory and Applications, Warwick, England.
- September 5-9, 2011, Speaker at ENUMATH Conference 2011
Leicester, England.
- July 6-8, 2011, Speaker at Applied Probability Society Conference,
Royal Institute of Technology (KTH),Stockholm, Sweden.
- January 24-28, 2011, Participant at Random Media: Homogenization and Beyond IPAM, UCLA.
- October 28-29, 2010, Invited Speaker at Rare Event Simulation Workshop in Bordeaux, France.
- June 7-18, 2010, Participant at New Mathematical Models in Economics and Finance IMA, University of Minnesota.
- May 6-9, 2010, Participant at Stochastics and Dynamics: Asymptotic Problems CSCAMM, University of Maryland at College Park.
- June 9-13, 2008, Participant at The 12th International Conference on Hyperbolic Problems: Theory, Numerics, Applications CSCAMM, University of Maryland at College Park.
- February 21-22 2008, Participant at the February Fourier Talks at the University of Maryland at College Park.
- April 13-15 2007, Minicourse in C++ by Daniel Duffy: Preparation for a Life in Quantitative Finance.
- October 2006, Participant at the Mathematical Finance Conference in honor of the 60th Birthday of Dilip B. Madan,
University of Maryland, College Park, USA.
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Seminars that I have co-organized or I am co-organizing:
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Graduate Teaching:
- Fall 2019, GRS MA884- Seminar in Probability and Statistics with focus on Multiscale Methods for stochastic processes and related dynamical systems (Boston University)
- Spring 2019, GRS MA783- Advanced Stochastic Processes (Boston University)
- Spring 2018, GRS MA777- Multiscale Methods for Stochastic Processes and Differenial Equations (Boston University)
- Spring 2016, GRS MA782- Hypothesis Test (Boston University)
- Spring 2014, GRS MA884- Topics in Multiscale Analysis: Theory, Computation and Applications (Boston University)
The official name for the class is "GRS MA884-Seminar in Statistics and Probability", but the actual topic that will be covered is Multiscale Methods
- Fall 2011, Topics in Homogenization: Theory and Computation (APMA 2811L-Brown University)
- Fall 2010, Topics on Averaging and Metastability with Applications (APMA 2811G-Brown University)
- Summer 2010, Topics on Survival Analysis (APMA 2980-Brown University, independent study)
- Fall 2009, Asymptotic Problems for Differential Equations and Stochastic Processes (APMA 2811D-Brown University)
- Spring 2008 and Spring 2007, Advanced Analytic methods with applications (Math 648M-University of Maryland at College Park) Lectures in homogenization with probabilistic methods
Undergraduate Teaching:
- MA 583-Introduction to Stochastic Processes (Boston University), Spring 2013, Spring 2015, Spring 2016, Spring 2018, Spring 2019
- MA 581-Introduction to Probability (Boston University), Spring 2015,
- MA 115-Statistics I (Boston University), Fall 2012, Fall 2013, Fall 2014, Fall 2015, Fall 2017, Fall 2018, Fall 2019
- APMA 1200-Operations Research -- Probabilistic Models (Brown University), Spring 2011, Spring 2012
- APMA 1680-Nonparametric Statistics (Brown University), Spring 2010
- Math 140-Calculus I (University of Maryland at College Park), Summer 2008
- 2006 - 2008, Discussion leader for College Algebra (Math 113), Intoduction to Differential Equations (Math 246),
Calculus III (Math 241) -University of Maryland at College Park
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Other Links:
- National Technical University of Athens ,NTUA